本文针对固定效应面板线性回归模型中特意误差项为任意形式序列相关情形,提出了移动分块经验似然估计方法,并给出了大样本性质.模拟研究表明:该方法适用于特意误差项序列相关形式已知和未知两种情形,较Baltagi和“(1994)以及Goncalves (2011)提出的方法有效.本文采用该方法对CO2排放量与城市化水平之间的关系进行了实证分析,结果表明:城市化水平对CO2排放量有显著影响,不同城市化阶段对CO2排放量影响不同.
This paper proposes a moving blocks empirical likelihood method for panel linear regression models with fixed effects, allowing serial correlations with any form in idiosyncratic errors in the model. Large sample properties are provided. Simulation results show that, whether the idiosyncratic errors structure were identified or not, the proposed method works well in both situations. Furthermore, the proposed method is much more effective than those of Bahagi and Li (1994) and Goncalves (2011). The proposed method is applied to investigate the relationship between CO2 emission and urbanization. The empirical results show that urbanization has significant effects on CO2 emission and the effects during each stage are different.